Christian and religious Conservatism denoted anything sexual as flithy and impure. Hence why the term dirty got slapped to sexual conduct and acts. You are right, sex is not dirty, but years of dogma, religious indoctrination and puritanism have sullied the idea of sex.
Also, please note, it is not mostly women who call sex dirty, I'd say it's equal men and women but those from conservative backgrounds.
Without more information about these "little sexual innuendos" it's hard to judge; but perhaps the women in question more precisely mean "That is SO inappropriate" or "That is So misogynistic" or some other, more accurate word. Sexual innuendos in mixed company or certain social situations can certainly be inappropriate, or personally offensive in other ways. Dirty is just a handy word for it.
